You don't necessarily even have to tunnel, like one would do with a borer. I think that would be cost-prohibitive.

Trench and cover, probably with streets.

But it would create a lot of extra void to maintain that would need its own drainage, maintenance to keep it free of debris and pests, inspections to make sure they don't collapse, and security to keep people out. Feasibility is probably commensurate with urban density.